According to many PC games I played, full screen gives more framerate compared to window mode. Some modern games such as StarCraft II even adds a tooltip that warn the user that window mode decreases performance. I think Windows Explorer is closed when you're in fullscreen mode but I need a confirmation about this. I have never coded a fullscreen application so I am not sure.

This depends on the game, some PC games simply use a windowed fullscreen mode instead which is similar to what PCSX2 uses (pretty much hide borders when switching to "fullscreen") which is why it feels like they're the same for PCSX2. There were some plans to add a exclusive fullscreen mode which would give a more real fullscreen mode and higher priority for it whch would make it better but for now windowed and "fullscreen" are pretty much the same.
If you try Direct3D9 with an older version of GSdx that has the fullscreen resolution/refresh rate choices then that one was a bit faster since it was more a real fullscreen mode but was also buggier and could get stuck when trying to leave fullscreen.